Objectives This theory‐building case study examined the zone of proximal development ( ZPD ) in psychotherapy within the assimilation model. Theoretically, the ZPD is the segment of the continuum of therapeutic development within which assimilation of problematic experiences can take place. Work within a problem's current ZPD may be manifested as a Winnicottian ability to play, that is, an ability to adopt a flexible reflexive stance to the presenting problem and be involved in joint examination of possible alternatives. Play may be recognized in the client's receptivity to and creative use of the therapist's formulations of the presenting problems. Design and methods A case was selected from a comparative clinical trial of two very brief psychotherapies for mild to moderate depression, the Two‐Plus‐One Project (Barkham, Shapiro, Hardy, & Rees, 1999, J. Consult. Clin. Psychol., 67, 201). Martha, a woman in her late forties, received two sessions of psychodynamic‐interpersonal therapy 1 week apart and a follow‐up (‘plus one') session approximately 3 months later. Dialogical sequence analysis was used to analyse the transcripts of the three sessions. Results The analysis revealed Martha's problematic action pattern, which remained unchanged throughout the three sessions. Her ability to use and elaborate the therapist's formulations depended on the referential object that the therapist addressed; in particular, she seemed unable to play with the therapist's formulations of her more problematic experiences. Conclusions The case helped elucidate how the ZPD is content dependent. Winnicott's conception of playing emphasizes the quality of client response as an indicator of this content sensitivity. Differing breadths of major problems' ZPD, manifested as differing abilities to play with therapists' formulations may explain why some clients improve in psychotherapy while some do not. Practitioner points Accessing very problematic content may be very difficult even though the client's ability to mentalize other material appears ordinary. Mildly depressed clients who have developed powerful care‐taking coping strategies may not respond to very brief therapeutic interventions. A client's minimal acknowledgements may mislead the therapist into supplementing the client's failing self‐reflection rather than addressing the issue that provokes this failure.